CAJ | 학술논문

针对股票一债券的最优投资组合策略问题,定义了股票一债券的半绝对偏差风险函数,建立了考虑不允许买空、不允许卖空、交易费用及交易单位等实际约束的股票一债券投资组合问题的数学模型,提出了一种基于布谷鸟搜索算法的改进算法,该算法不仅加快了最优鸟窝位置的搜索速度,同时增强了最优解的稳定性,并对该算法的复杂度进行了分析.最后通过数值算例验证了模型及算法的正确性及有效性.
침대고표일채권적최우투자조합책략문제,정의료고표일채권적반절대편차풍험함수,건립료고필불윤허매공、불윤허매공、교역비용급교역단위등실제약속적고표일채권투자조합문제적수학모형,제출료일충기우포곡조수색산법적개진산법,해산법불부가쾌료최우조와위치적수색속도,동시증강료최우해적은정성,병대해산법적복잡도진행료분석.최후통과수치산례험증료모형급산법적정학성급유효성.
In order to propose a optimal strategy for stock-bond portfolio problem,in this paper,the authors not only define the semi-absolute deviation risk function of stock-bond but also establish a mathematical model,which takes many actual factors in consideration such as the transaction costs and trading unit under no short-selling and no long-selling.Under this case,based on the original cuckoo search algorithm,an improved algorithm is worked out and is able to not only increase the searching speed of the optimal nest position but also enhance the stability of the optimal solution.In addition,this paper analyzes the complexity of this new algorithm,and finally a numerical example is given to illustrate the validity and efficiency of this algorithm as well as the established mathematical model.